Well, since I'm bored I decided to make a small survey. All I want to know is your favorite profession and your pros and cons for it.
For me, my favorite is the Thief/Robber (They basically are the same thing so I combined them together.)
Pro: Easy to play as.
There isn't any of that buy resources, forge/carve/mix, sell, repeat crap. I can't do that for long or I get uber bored.
Really cool options like ransoms, pick pocketing, and burglary. Robbers can extort money and attack trading carts.
Cons: Can get caught as thieving is a crime.
Some captives wont pay u 2 free them. Cheap Bastards...
Employees can die in raids and some burglaries if not well trained.
Slow at first, takes some time to get scouting done.
Raids are dangerous towards
So what are yours?

Innkeeper
Pros: PROFIT PROFIT PROFIT, the raw materials are cheap and the products sell for LOADS
Cons: You must have beer in stock before the end of the day
There's someone who keeps buying all my barley. After I buy a load. For less than I buy it for.

Hard to pick one, I'm undecided between the Alchemist/Perfumer/Priest.
OK, I'll write about both Perfumer/Alchemist (they are almost the same) and Priest.
Perfumer/Alchemist
Pros
-For the first two items, you don't have to pay for the raw materials.
-The products you make can be used in your political career (only applies to the Perfumer).
-Both increases your favor with town servants, making it easier to start your political career there.
Cons
-You have to have your shop quite as close to a Woodland area as possible, to reduce the time employees spend looking for ingredients.
-Both decrease your favor with Church and State authority (and being an Alchemist also with Informers), making it more difficult to get amog their ranks.
Priest
Pros
-Higher level goods can sell for a small fortune.
-Produced goods are extremely useful (especially On talents I-II)
-If you give a sermon, you spend 1 AP for a modest amount of free cash
-With the confession booth, you have a (slight) chance to get free APs.
-Increases your favor with town servants, town bailiffs and (of course) the Church authority, making it easier to have a political career.
Cons
-Some raw materials are quite costy compared to others.
-Informers and members of the Town council will like you less.
-The Church buildings are the single most expensive ones to build/expand, and they also take a long time.

Ah yes, the Priest was my third profession.
It is quite profitable.

hmm..
Well, so far I would have to say I think it's a toss up between 'entertainer' and robber. Though I admit, I've had a bit of an issue fully making heads or tails out of anything with robbers other than waylaying carts and extorting protection money.
The entertainer, I was rather bored with until I got my tent! :)
(.. I really can't list pros/cons because I don't pay attention to these things to be honest. To me it is "am I having fun?" if the answer is yes, there's no 'con'.)

I've played an Innkeeper, a Thief, a Robber, a Money Lender, a Priest, a Blacksmith and a Perfumer so far and I must say I liked the Innkeeper the most.
Pro's:
close to market / cheap raw materials / very lucrative, even with a master
Cons:
the fact that you need to have enough of beer in stock every day (took a while for me to realise :) )

I always start with a blacksmith.
Pros:
- you make shiny things
- people pay for shiny things
- you are the local arms dealer. If someone attacks you, you just throw swords at him until it stops being funny
Cons
- you spend your days in a hot room, full of sweaty apprentices
- yesterday I accidentally burned my hand off. Worst luck
- you can't make katanas, shurikens and greatswords. Some kind of union rules